I'm looking for a specific short story about a lonely old man who creates an imaginary family in his head?

I know it was written by a famous author - Hemingway, Fitzgerald, and Stevenson all come to mind. I also realize that this is a TOTAL long-shot so please forgive the vague description. My grandfather mentioned the story to me just before he ped away a few years ago. I have searched the internet but to no avail so thought I might give it one last try here. Thank you!